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Fully Bayesian analysis of ARMA time series models

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  • Monahan, John F.

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  • Monahan, John F., 1983. "Fully Bayesian analysis of ARMA time series models," Journal of Econometrics, Elsevier, vol. 21(3), pages 307-331, April.
    • Handle: RePEc:eee:econom:v:21:y:1983:i:3:p:307-331
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    Cited by:

    1. Shu-Ing Liu, 1995. "Bayesian multiperiod forecasts for ARX models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(2), pages 211-224, June.
    2. K. Triantafyllopoulos & G. Montana, 2011. "Dynamic modeling of mean-reverting spreads for statistical arbitrage," Computational Management Science, Springer, vol. 8(1), pages 23-49, April.
    3. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
    4. Carter Richard A. L. & Zellner Arnold, 2004. "The ARAR Error Model for Univariate Time Series and Distributed Lag," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-44, March.
    5. Steel, M.F.J., 1991. "Bayesian inference in time series," Discussion Paper 1991-53, Tilburg University, Center for Economic Research.
    6. Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Fr'ed'eric Abergel, 2015. "Forecasting trends with asset prices," Papers 1504.03934, arXiv.org, revised Apr 2015.
    7. Shu-Ing Liu, 1994. "Multiperiod Bayesian forecasts forAR models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(3), pages 429-452, September.
    8. Ahmed Belhadjayed & Grégoire Loeper & Frédéric Abergel, 2016. "Forecasting Trends With Asset Prices," Post-Print hal-01512431, HAL.
    9. Philippe, Anne, 2006. "Bayesian analysis of autoregressive moving average processes with unknown orders," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1904-1923, December.
    10. Kleibergen, F.R. & Hoek, H., 1995. "Bayesian analysis of ARMA models using noninformative priors," Other publications TiSEM 81684a10-935f-49c4-b5ab-0, Tilburg University, School of Economics and Management.
    11. Dorfman, Jeffrey H. & Havenner, Arthur M., 1992. "A Bayesian approach to state space multivariate time series modeling," Journal of Econometrics, Elsevier, vol. 52(3), pages 315-346, June.
    12. R. A. L. Carter & A. Zellner, 2002. "The ARAR Error Model for Univariate Time Series and Distributed Lag Models," University of Western Ontario, Departmental Research Report Series 20025, University of Western Ontario, Department of Economics.
    13. Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
    14. Praveen Kumar Tripathi & Rijji Sen & S.K. Upadhyay, 2021. "A Bayes algorithm for model compatibility and comparison of ARMA(p,q) models," Statistics in Transition New Series, Polish Statistical Association, vol. 22(2), pages 95-123, June.

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